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The xVA Challenge: Counterparty Risk, Collateral, Funding, Capital, Initial Margin, and Central Clearing – New York

November 1 - November 3

This course explains and describes the valuation adjustments in derivatives pricing in relation to counterparty risk, collateral, funding, and capital components. The ideas are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants, collateral effects, regulation, and the resulting calculation of CVA, DVA, FVA, ColVA, KVA, and MVA.

During the program, participants will examine the impact of accounting requirements (IFRS 13) on valuation adjustments; as well as addressing regulatory capital rules in detail - with the impact of the CVA capital charge and future changes such as SA-CCR, SA-CVA, and the leverage ratio. Funding, including the impact of the LCR and NSFR liquidity requirements for banks, is comprehensively discussed. The future impact of initial margin via mandatory central clearing and the bilateral margin rules are assessed in detail. Initial margin methodologies at CCPs and in bilateral markets (SIMM) are also described.

Particular attention is paid to current market approaches and best practice - areas where a clear consensus has not yet emerged or where there may be changes in the future will be highlighted and discussed.

Participants will be able to take away all worked examples and additional exercises and models implemented using Excel functions and macros. They will also receive the latest edition of Jon's book "The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital" published by Wiley Finance.

Venue

New York

Organiser

London Financial Studies
Website:
www.londonfs.com